Nonlinearly weighted convex risk measure and its application
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhiping Chen & Jia Liu & Gang Li & Zhe Yan, 2016. "Composite time-consistent multi-period risk measure and its application in optimal portfolio selection," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 515-540, October.
- repec:eee:apmaco:v:282:y:2016:i:c:p:187-203 is not listed on IDEAS
- Chen, Zhi-ping & Li, Gang & Guo, Ju-e, 2013. "Optimal investment policy in the time consistent mean–variance formulation," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 145-156.
- Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
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KeywordsExpected shortfall Market frictions Portfolio optimization Performance ratio;
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